Journal ArticleDOI
Prepivoting to reduce level error of confidence sets
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In this article, the root of the confidence set is transformed by its estimated bootstrap cumulative distribution function, and the transformation of a confidence set root by the estimated distribution function can be iterated one or more times with smaller error than do confidence sets based on the original root.Abstract:
SUMMARY Approximate confidence sets for a parameter 0 may be obtained by referring a function of 0 and of the sample to an estimated quantile of that function's sampling distribution. We call this function the root of the confidence set. Either asymptotic theory or bootstrap methods can be used to estimate the desired quantile. When the root is not a pivot, in the sense of classical statistics, the actual level of the approximate confidence set may differ substantially from the intended level. Prepivoting is the transformation of a confidence set root by its estimated bootstrap cumulative distribution function. Prepivoting can be iterated. Bootstrap confidence sets generated from a root prepivoted one or more times have smaller error in level than do confidence sets based on the original root. The first prepivoting is nearly equivalent to studentizing, when that operation is appropriate. Further iterations of prepivoting make higher order corrections automatically.read more
Citations
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Threshold effects in non-dynamic panels: Estimation, testing, and inference
TL;DR: In this article, a non-standard asymptotic theory of inference is developed which allows construction of confidence intervals and testing of hypotheses, and the methods are applied to a 15-year sample of 565 US firms to test whether financial constraints affect investment decisions.
Journal ArticleDOI
Bootstrap Confidence Intervals
Thomas J. DiCiccio,Bradley Efron +1 more
TL;DR: Bootstrap methods for estimating confidence intervals have been surveyed in this article, with a focus on improving the accuracy of the standard confidence intervals in a way that allows routine application even to very complicated problems.
Journal ArticleDOI
Direct and indirect effects: classical and bootstrap estimates of variability
Kenneth A. Bollen,Robert Stinet +1 more
TL;DR: In this article, the authors examine bootstrap procedures as another way to generate standard errors and confidence intervals and to estimate the sampling distributions of estimators of direct and indirect effects, and find that in a moderately large sample, the bootstrap distribution of an estimator is close to that assumed with the standard error derived from the delta method.
Journal ArticleDOI
Bootstrap and Wild Bootstrap for High Dimensional Linear Models
TL;DR: In this article, two bootstrap procedures are considered for the estimation of the distribution of linear contrasts and of F-test statistics in high dimensional linear models, where the dimension p of the model may increase for sample size $n\rightarrow\infty.
Journal ArticleDOI
Prepivoting Test Statistics: A Bootstrap View of Asymptotic Refinements
TL;DR: The concept of prepivoting is introduced in this article, which is the transformation of a test statistic by the cdf of its bootstrap null distribution to a quantile of the uniform distribution.
References
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Journal ArticleDOI
Bootstrap Methods: Another Look at the Jackknife
TL;DR: In this article, the authors discuss the problem of estimating the sampling distribution of a pre-specified random variable R(X, F) on the basis of the observed data x.
Book
The jackknife, the bootstrap, and other resampling plans
TL;DR: The Delta Method and the Influence Function Cross-Validation, Jackknife and Bootstrap Balanced Repeated Replication (half-sampling) Random Subsampling Nonparametric Confidence Intervals as mentioned in this paper.
Journal ArticleDOI
The Jackknife: The Bootstrap and Other Resampling Plans.
Leone Y. Low,Bradley Efron +1 more
Journal ArticleDOI
Better Bootstrap Confidence Intervals
TL;DR: In this article, the authors consider the problem of setting approximate confidence intervals for a single parameter θ in a multiparameter family, and propose a method to automatically incorporate transformations, bias corrections, and so on.
Beiter Bootstrap Confidence Intervals
TL;DR: In this article, the authors consider the problem of setting approximate confidence intervals for a single parameter 0 in a multiparameter family, and propose the bootstrap confidence intervals that automatically incorporate transformations, bias corrections, and so forth.